Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 10 (3D) | Nov 11 (4D) | Nov 12 (5D) | Nov 13 (6D) | Nov 14 (7D) | Nov 17 (10D) | Nov 18 (11D) | Nov 19 (12D) | Nov 20 (13D) | Nov 21 (14D) | Nov 28 (21D) | Dec 05 (28D) | Dec 12 (35D) | Dec 19 (42D) | Dec 26 (49D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 659.297 | 657.491 | 655.90 | 654.462 | 653.139 | 649.658 | 648.617 | 647.623 | 646.67 | 645.753 | 640.085 | 635.308 | 631.098 | 627.293 | 623.793 |
| upper | 682.643 | 684.449 | 686.04 | 687.478 | 688.801 | 692.282 | 693.323 | 694.317 | 695.27 | 696.187 | 701.855 | 706.632 | 710.842 | 714.647 | 718.147 |
| expected move | 11.673 | 13.479 | 15.07 | 16.508 | 17.831 | 21.312 | 22.353 | 23.347 | 24.30 | 25.217 | 30.885 | 35.662 | 39.872 | 43.677 | 47.177 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
